NDK_MLR_ANOVA

Calculates the regression model analysis of the variance (ANOVA) values.

Return Value

a value from NDK_RETCODE enumeration for the status of the call. 

NDK_SUCCESS	operation successful
Error	Error Code

Parameters

[in]	pXData	is the independent (explanatory) variables data matrix, such that each column represents one variable.
[in]	nXSize	is the number of observations (rows) in pXData
[in]	nXVars	is the number of independent (explanatory) variables (columns) in pXData.
[in]	mask	is the boolean array to choose the explanatory variables in the model. If missing, all variables in X are included.
[in]	nMaskLen	is the number of elements in the "mask."
[in]	Y	is the response or dependent variable data array (one dimensional array of cells).
[in]	nYSize	is the number of observations in Y.
[in]	intercept	is the constant or intercept value to fix (e.g. zero). If missing (i.e. NaN), an intercept will not be fixed and is computed normally.
[in]	nRetType	is a switch to select the output (1=SSR (default), 2=SSE, 3=SST, 4=MSR, 5=MSE, 6=F-stat, 7=P-value): SSR (sum of squares of the regression) SSE (sum of squares of the residuals) SST (sum of squares of the dependent variable) MSR (mean squares of the regression) MSE (mean squares error or residuals) F-stat (test score) Significance F (P-value of the test)
[out]	retVal	is the calculated statistics ANOVA output.

Remarks

1. The underlying model is described here.
2. \(\mathbf{y} = \alpha + \beta_1 \times \mathbf{x}_1 + \dots + \beta_p \times \mathbf{x}_p\)
3. The regression ANOVA table which examines the following hypothesis: \[\mathbf{H}_o: \beta_1 = \beta_2 = \dots = \beta_p = 0\] \[\mathbf{H}_1: \exists \beta_i \neq 0, i \in \left[1,0 \right ] \]
4. In other words, the regression ANOVA examines the probability that regression does NOT explain the variation in \(\mathbf{y}\), i.e. that any fit is due purely to chance.
5. The MLR_ANOVA calculates the different values in the ANOVA tables as shown below: \[\mathbf{SST}=\sum_{i=1}^N \left(Y_i - \bar Y \right )^2 \] \[\mathbf{SSR}=\sum_{i=1}^N \left(\hat Y_i - \bar Y \right )^2\] \[\mathbf{SSR}=\sum_{i=1}^N \left(Y_i - \hat Y_i \right )^2 \] Where:
   • \(N\) is the number of non-missing observations in the sample data.
   • \(\bar Y\) is the empirical sample average for the dependent variable.
   • \(\hat Y_i\) is the regression model estimate value for the i-th observation.
   • \(\mathbf{SST}\) is the total sum of squares for the dependent variable.
   • \(\mathbf{SSR}\) is the total sum of squares for the regression (i.e. $\hat y$) estimate.
   • \(\mathbf{SSE}\) is the total sum of error (aka residuals $\epsilon$) terms for the regression (i.e. \(\epsilon = y - \hat y)\) estimate.
   • \(\mathbf{SST} = \mathbf{SSR} + \mathbf{SSE}\)
   AND \[\mathbf{MSR} = \frac{\mathbf{SSR} }{p} \] \[\mathbf{MSE} = \frac{ \mathbf{SSE} }{N-p-1}\] \[\mathbf{F-Stat} = \frac{\mathbf{MSR} }{\mathbf{MSE} }\] Where:
   • \(p\) is the number of explanatory (aka predictor) variables in the regression.
   • \(\mathbf{MSR}\) is the mean squares of the regression.
   • \(\mathbf{MSE}\) is the mean squares of the residuals.
   • \(\textrm{F-Stat}\) is the test score of the hypothesis.
   • \(\textrm{F-Stat} \sim \mathbf{F}\left(p,N-p-1 \right)\)
6. The sample data may include missing values.
7. Each column in the inputm atrix corresponds to a separate variable.
8. Each row in the input matrix corresponds to an observation.
9. Observations (i.e. row) with missing values in X or Y are removed.
10. The number of rows of the response variable (Y) must be equal to the number of rows of the explanatory variables (X).
11. The MLR_ANOVA function is available starting with version 1.60 APACHE.

Exceptions

Exception Type	Condition
None	N/A

Requirements

Namespace	NumXLAPI
Class	SFSDK
Scope	Public
Lifetime	Static
Package	NumXLAPI.DLL

Examples